Class: FloatingRateProcessingParameters

Type to hold the processing parameters that should be or were used to calculate a floating amount. These parameters can vary over a schedule so this type holds the acutal values applicable to this calculation.

URI: common_domain_model:FloatingRateProcessingParameters

 classDiagram
    class FloatingRateProcessingParameters
    click FloatingRateProcessingParameters href "../FloatingRateProcessingParameters/"
      FloatingRateProcessingParameters : capRate
        
      FloatingRateProcessingParameters : floorRate
        
      FloatingRateProcessingParameters : initialRate
        
          
    
        
        
        FloatingRateProcessingParameters --> "0..1" Price : initialRate
        click Price href "../Price/"
    

        
      FloatingRateProcessingParameters : multiplier
        
      FloatingRateProcessingParameters : negativeTreatment
        
          
    
        
        
        FloatingRateProcessingParameters --> "0..1" NegativeInterestRateTreatmentEnum : negativeTreatment
        click NegativeInterestRateTreatmentEnum href "../NegativeInterestRateTreatmentEnum/"
    

        
      FloatingRateProcessingParameters : rounding
        
          
    
        
        
        FloatingRateProcessingParameters --> "0..1" Rounding : rounding
        click Rounding href "../Rounding/"
    

        
      FloatingRateProcessingParameters : spread
        
      FloatingRateProcessingParameters : treatment
        
          
    
        
        
        FloatingRateProcessingParameters --> "0..1" RateTreatmentEnum : treatment
        click RateTreatmentEnum href "../RateTreatmentEnum/"
    

        
      

Slots

Name	Cardinality and Range	Description	Inheritance
initialRate	0..1 Price	The rate to be applied for the initial period	direct
multiplier	0..1 Decimal	floating rate multiplier	direct
spread	0..1 Decimal	spread to be added to the floating rate	direct
treatment	0..1 RateTreatmentEnum	US rate treatment (Bond Equivalent Yield or Money Market Yield, if applicable	direct
capRate	0..1 Decimal	capt to be applied to the floating rate	direct
floorRate	0..1 Decimal	floor to be applied to the floating rate	direct
rounding	0..1 Rounding	THe final rate rounding to be applied	direct
negativeTreatment	0..1 NegativeInterestRateTreatmentEnum	How to handle negative interest rates	direct

Usages

used by	used in	type	used
FloatingRateProcessingDetails	processingParameters	range	FloatingRateProcessingParameters

Identifier and Mapping Information

Schema Source

• from schema: https://w3id.org/lmodel/common-domain-model

Mappings

Mapping Type	Mapped Value
self	common_domain_model:FloatingRateProcessingParameters
native	common_domain_model:FloatingRateProcessingParameters

LinkML Source

Direct

name: FloatingRateProcessingParameters
description: Type to hold the processing parameters that should be or were used to
  calculate a floating amount. These parameters can vary over a schedule so this type
  holds the acutal values applicable to this calculation.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  initialRate:
    name: initialRate
    description: The rate to be applied for the initial period.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    domain_of:
    - FloatingRateSpecification
    - FloatingRateProcessingParameters
    range: Price
  multiplier:
    name: multiplier
    description: floating rate multiplier.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    domain_of:
    - QuantitySchedule
    - FloatingRateProcessingParameters
    range: decimal
  spread:
    name: spread
    description: spread to be added to the floating rate.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    domain_of:
    - SwapCurveValuation
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    - CommodityPriceReturnTerms
    range: decimal
  treatment:
    name: treatment
    description: US rate treatment (Bond Equivalent Yield or Money Market Yield, if
      applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    domain_of:
    - CollateralPosition
    - FloatingRateProcessingParameters
    - EligibleCollateralCriteria
    range: RateTreatmentEnum
  capRate:
    name: capRate
    description: capt to be applied to the floating rate.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    domain_of:
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    range: decimal
  floorRate:
    name: floorRate
    description: floor to be applied to the floating rate.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    domain_of:
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    range: decimal
  rounding:
    name: rounding
    description: THe final rate rounding to be applied.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    domain_of:
    - RelativeTimeOffset
    - FloatingRateIndexDefinition
    - CreditSupportObligationsCollateralTransferAgreement
    - CreditSupportObligationsInitialMargin
    - CreditSupportObligationsLegacy
    - CreditSupportObligationsVariationMargin
    - FloatingRateProcessingParameters
    - CollateralInterestCalculationParameters
    - CommodityPriceReturnTerms
    range: Rounding
  negativeTreatment:
    name: negativeTreatment
    description: How to handle negative interest rates.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    rank: 1000
    domain_of:
    - FloatingRateProcessingParameters
    range: NegativeInterestRateTreatmentEnum

Induced

name: FloatingRateProcessingParameters
description: Type to hold the processing parameters that should be or were used to
  calculate a floating amount. These parameters can vary over a schedule so this type
  holds the acutal values applicable to this calculation.
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  initialRate:
    name: initialRate
    description: The rate to be applied for the initial period.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    owner: FloatingRateProcessingParameters
    domain_of:
    - FloatingRateSpecification
    - FloatingRateProcessingParameters
    range: Price
  multiplier:
    name: multiplier
    description: floating rate multiplier.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    owner: FloatingRateProcessingParameters
    domain_of:
    - QuantitySchedule
    - FloatingRateProcessingParameters
    range: decimal
  spread:
    name: spread
    description: spread to be added to the floating rate.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    owner: FloatingRateProcessingParameters
    domain_of:
    - SwapCurveValuation
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    - CommodityPriceReturnTerms
    range: decimal
  treatment:
    name: treatment
    description: US rate treatment (Bond Equivalent Yield or Money Market Yield, if
      applicable.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    owner: FloatingRateProcessingParameters
    domain_of:
    - CollateralPosition
    - FloatingRateProcessingParameters
    - EligibleCollateralCriteria
    range: RateTreatmentEnum
  capRate:
    name: capRate
    description: capt to be applied to the floating rate.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    owner: FloatingRateProcessingParameters
    domain_of:
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    range: decimal
  floorRate:
    name: floorRate
    description: floor to be applied to the floating rate.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    owner: FloatingRateProcessingParameters
    domain_of:
    - FloatingRateDefinition
    - FloatingRateProcessingParameters
    range: decimal
  rounding:
    name: rounding
    description: THe final rate rounding to be applied.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    owner: FloatingRateProcessingParameters
    domain_of:
    - RelativeTimeOffset
    - FloatingRateIndexDefinition
    - CreditSupportObligationsCollateralTransferAgreement
    - CreditSupportObligationsInitialMargin
    - CreditSupportObligationsLegacy
    - CreditSupportObligationsVariationMargin
    - FloatingRateProcessingParameters
    - CollateralInterestCalculationParameters
    - CommodityPriceReturnTerms
    range: Rounding
  negativeTreatment:
    name: negativeTreatment
    description: How to handle negative interest rates.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_asset_floatingrate
    rank: 1000
    owner: FloatingRateProcessingParameters
    domain_of:
    - FloatingRateProcessingParameters
    range: NegativeInterestRateTreatmentEnum